05634oam 22012734 450 991096925980332120250426110059.0978661284077797814623598371462359833978145272386014527238699781282840775128284077097814518698351451869835(CKB)3170000000055009(EBL)1607846(SSID)ssj0000944170(PQKBManifestationID)11560555(PQKBTitleCode)TC0000944170(PQKBWorkID)10982731(PQKB)11418693(OCoLC)276784441(IMF)WPIEE2008123(MiAaPQ)EBC1607846(IMF)WPIEA2008123WPIEA2008123(EXLCZ)99317000000005500920020129d2008 uf 0engur|n|---|||||txtrdacontentcrdamediacrrdacarrierMexico’s Integration into NAFTA Markets : A View from Sectoral Real Exchange Rates and Transaction Costs /Luciana Juvenal, Rodolphe Blavy1st ed.Washington, D.C. :International Monetary Fund,2008.1 online resource (27 pages)IMF Working PapersIMF working paper ;WP/08/123Description based upon print version of record.9781451914375 1451914377 Includes bibliographical references.CONTENTS; I. Introduction; II. Nonlinear Dynamics in Real Exchange Rates; A. Theoretical Underpinnings; B. Estimation Methodology and SETAR Model; C. Testing Procedures; III. Estimation Results; A. Testing for Nonlinear Price Convergence; Figure; 1. Extent of Price Convergence between Mexico-U.S. and Canada-U.S; Tables; 1. SETAR Estimation Results; B. Estimated Transaction Costs; C. Robustness of Results; 2. SETAR Estimation Results (Detrended Data); 3. SETAR Estimation Results (Controlling for Different Mean during Tequila Crisis); D. Half-Lives4. Estimation of Half-Lives for Sectoral Real Exchange Rates (In Months)5. SETAR Estimation Results for Aggregate Price Indices; Box; 1. Real Exchange Rate Thresholds at the Aggregate CPI Level; IV. Determinants of Thresholds in Real Exchange Rates; V. Summary of Results and Conclusion; 6. Threshold Regressions; ReferencesA self-exciting threshold autoregressive model is used to measure transaction costs that may explain relative price differentials and nonlinearities in the behavior of sectoral real exchange rates across Mexico, Canada and the U.S. Interpreting price threshold bands as transactions costs, we find evidence that Mexico still face higher transaction costs than their developed counterparts, even though trade liberalization lowers relative price differentials between countries. The distance between countries and nominal exchange rate volatility are found to be determinants of transaction costs that limit price convergence. Other factors-including weak domestic competition and transportation-are also likely to be important.IMF Working Papers; Working Paper ;No. 2008/123Foreign exchange ratesMexicoForeign exchange ratesUnited StatesForeign exchange ratesCanadaArbitrageimfCommercial treatiesimfConsumer price indexesimfCurrencyimfDeflationimfExchange ratesimfExports and ImportsimfFinancial instrumentsimfForeign ExchangeimfForeign exchangeimfGeneral Financial Markets: General (includes Measurement and Data)imfInflationimfInternational economicsimfInternational Trade OrganizationsimfInvestment & securitiesimfInvestments: CommoditiesimfMacroeconomicsimfNorth American Free Trade AgreementimfPrice indexesimfPrice LevelimfReal exchange ratesimfTrade PolicyimfNorth AmericaEconomic integrationUnited StatesimfForeign exchange ratesForeign exchange ratesForeign exchange ratesArbitrageCommercial treatiesConsumer price indexesCurrencyDeflationExchange ratesExports and ImportsFinancial instrumentsForeign ExchangeForeign exchangeGeneral Financial Markets: General (includes Measurement and Data)InflationInternational economicsInternational Trade OrganizationsInvestment & securitiesInvestments: CommoditiesMacroeconomicsNorth American Free Trade AgreementPrice indexesPrice LevelReal exchange ratesTrade Policy382.917Juvenal Luciana1816330Blavy Rodolphe1815679DcWaIMFBOOK9910969259803321Mexico’s Integration into NAFTA Markets4372334UNINA